A Test for Volatility Spillovers
Posted: 5 Dec 2004
Abstract
This paper proposes a new procedure for analyzing volatility links between different markets based on a bivariate Markov switching model. An empirical application of this procedure to three emerging markets is examined and discussed.
Keywords: Markov switching, GARCH, volatility, financial crises
JEL Classification: C32, G15
Suggested Citation: Suggested Citation
Spagnolo, Fabio and Sola, Martín and Spagnolo, Nicola, A Test for Volatility Spillovers. Economics Letters, Vol. 76, pp. 77-84, 2002. Available at SSRN: https://ssrn.com/abstract=626845
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